Arbeitspapier
A note on implementing the Durbin and Koopman simulation smoother
The correct implementation of the Durbin and Koopman simulation smoother is explained. A possible misunderstanding is pointed out and clarified for both the basic state space model with a non-zero mean of the initial state and with time-varying intercepts (mean adjustments).
- ISBN
-
978-92-899-1680-6
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1867
- Klassifikation
-
Wirtschaft
Statistical Simulation Methods: General
- Thema
-
simulation smoother
state space model
trend output
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Jarociński, Marek
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2015
- DOI
-
doi:10.2866/516204
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Jarociński, Marek
- European Central Bank (ECB)
Entstanden
- 2015
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